I was only there for a year as research assistant for the macroeconomic and labor economics team. It's pretty intense, projects come in and some are pretty simple and can be done in a day or two, others are month long endeavors. The challenge is managing the 20 or so different projects that are up in the air at any one time. The basic work doesn't require much beyond Excel, but the more complicated projects can require tons of econometrics training. I really enjoyed it though.
I think it's a very different environment than academia and requires a different mindset, which is both a good and a bad thing. You learn to think on your feet and find creative work arounds to difficult questions. You also become an expert on data sources and collection very quickly. My firm was one of the best ones, so my co-workers were traveling the world for projects. I think one spent a month in Paris, another did a month in Singapore, as well as trips to Rio, Johannesberg, and Sydney. And the salaries people get can be pretty high, I know some of the senior people on the team were in the high 100s and low 200s, after only 10 years with the firm.